Milstein-type semi-implicit split-step numerical methods for nonlinear stochastic differential equations with locally Lipschitz drift terms
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DOI: 10.2298/tsci180912325i
Abstract: We develop Milstein-type versions of semi-implicit split-step methods for numerical solutions of non-linear stochastic differential equations with locally Lipschitz coefficients. Under a one-sided linear growth condition on the drift term, we obtain some moment estimates… read more here.
Keywords: stochastic differential; semi implicit; implicit split; differential equations ... See more keywords